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Recent advances and future directions in causality, prediction, and specification analysis : essays in honor of Halbert L. White Jr. / / Xiaohong Chen, Norman R. Swanson, editors
| Recent advances and future directions in causality, prediction, and specification analysis : essays in honor of Halbert L. White Jr. / / Xiaohong Chen, Norman R. Swanson, editors |
| Pubbl/distr/stampa | New York, : Springer, 2012, c2013 |
| Descrizione fisica | 1 online resource (xxxiii, 560 pages) : illustrations, portraits |
| Disciplina |
621.382
621.382/2 |
| Altri autori (Persone) |
ChenXiaohong
SwansonNorman R |
| Soggetto topico |
Econometrics - Asymptotic theory
Causation Prediction theory |
| ISBN | 1-4614-1653-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Improving U.S. GDP measurement : a forecast combination perspective / S. Boragan Aruoba ... [et al.] -- Identification without exogeneity under equiconfounding in linear recursive structural systems / Karim Chalak -- Optimizing robust conditional moment tests : an estimating function approach / Yi-Ting Chen and Chung-Ming Kuan -- Asymptotic properties of penalized M estimators with time series observations / Xiaohong Chen and Zhipeng Liao -- A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance / Valentina Corradi and Norman R. Swanson -- New directions in information matrix testing : eigenspectrum tests / Richard M. Golden ... [et al.] -- Bayesian analysis and model selection of GARCH models with additive jumps / Christian Haefke and Leopold Sogner -- Hal White : time at MIT and early days of research / Jerry Hausman -- Open-model forecast-error taxonomies / David F. Hendry and Grayham E. Mizon -- Heavy-tail and plug-in robust consistent conditional moment tests of functional form / Jonathan B. Hill
Nonparametric identification in dynamic nonseparable panel data models / Stefan Hoderlein and Halbert White -- Consistent model selection : over rolling windows / Atsushi Inoue, Barbara Rossi and Lu Jin -- Estimating misspecified moment inequality models / Hiroaki Kaido and Halbert White -- Model adequacy checks for discrete choice dynamic models / Igor Kheifets and Carlos Velasco -- On long-run covariance matrix estimation with the truncated flat kernel / Chang-Ching Lin and Shinichi Sataka -- Predictability and specification in models of exchange rate determination / Esfandiar Maasoumi and Levent Bulut -- Thirty years of heteroskedsticity-robust inference / James G. MacKinnon -- Smooth constrained frontier analysis / Christopher F. Parmeter and Jeffrey S. Racine -- No VaS transformations : flexible inference for volatility forecasting / Dimitris N. Politis and Dimitrios D. Thomakos -- Regression efficacy and the curse of dimensionality / Maxwell B. Stinchcombe and David M. Drukker. |
| Record Nr. | UNINA-9910438072503321 |
| New York, : Springer, 2012, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
| Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
| Autore | Swanson Norman R |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 electronic resource (196 p.) |
| Soggetto topico | Economics, finance, business & management |
| Soggetto non controllato |
level, slope, and curvature of the yield curve
Nelson-Siegel factors supervised factor models combining forecasts principal components Minimum variance portfolio risk shrinkage S& P 500 high-frequency volatility forecasting realized measures bivariate GARCH Japanese candlestick ordered fuzzy number Kosiński’s number oriented fuzzy number dynamic analysis of securities integrated volatility high-frequency data jumps realized skewness cross-sectional stock returns signed jump variation long-range dependence log periodogram regression smoothed periodogram subsampling intraday returns portfolio selection maximum diversification regularization |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557897503321 |
Swanson Norman R
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||